Reinsurance Pricing Game

The healthy development of reinsurance is very important to the whole finance industry and the stability of the society. Pricing of reinsurance and the decision of retention is the basic step of the reinsurance operation, and it can influence the risk dispersing, the exploitation of the work, the profit and so on. Further more, it concerns the ability of compensation and the stability of the insurance market. With consider of the development of reinsurance market, the writer built three reinsurance models of game theory and hopes it can make some exploration and test in this research area.This paper made a research about the retention and the best retention rate of direct insurer with the method of game theory and insurance theory. It studied two kinds of the most common and popular reinsuring modes, out of Sum Insured Reinsurance and Loss Reinsurance. The writer built three models, a complete information dynamic model of Sum Insured Reinsurance and two models of Loss Reinsurance Sum Insured Reinsurance respectively in complete and uncompleted information. By analyzing, the models show that they can reach equilibrium and the reinsurance contracts can be successfully made under these situations.